Finance Research Group Working Papers

from University of Aarhus, Aarhus School of Business, Department of Business Studies
The Aarhus School of Business, Fuglesangs Allé 4, DK-8210 Aarhus V, Denmark.
Contact information at EDIRC.
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F-2008-04: Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns

Stig Vinther Møller

F-2008-03: Private benefits in corporate control transactions

Thomas Poulsen

F-2008-02: Investment decisions with benefits of control

Thomas Poulsen

F-2008-01: Pricing of Traffic Light Options and other Correlation Derivatives

Thomas Kokholm

F-2007-03: Lapse Rate Modeling: A Rational Expectation Approach

Domenico De Giovanni

F-2007-02: Pricing the Option to Surrender in Incomplete Markets

Andrea Consiglio and Domenico De Giovanni

F-2006-97: Dispersed Trading and the Prevention of Market Failure: The Case of the Copenhagen Stock Exchange

David C. Porter, Carsten Tanggaard, Daniel G. Weaver and Wei Yu

F-2006-09: Lognormal Approximation of Complex Path-dependent Pension Scheme Payoffs

Peter Løchte Jørgensen

F-2006-08: Traffic Light Options

Peter Løchte

F-2006-06: Paying for Market Quality

Amber Anand, Carsten Tanggaard and Daniel G. Weaver

F-2006-05: How well do financial and macroeconomic variables predict stock returns: Time-series and cross-sectional evidence

Rasmussen, Anne-Sofie Reng

F-2006-04: Improving the asset pricing ability of the Consumption-Capital Asset Pricing Model?

Rasmussen, Anne-Sofie Reng

F-2006-03: Conducting event studies on a small stock exchange

Jan Bartholdy, Dennis Olson and Paula Peare

F-2006-02: Debt and Taxes: Evidence from bank-financed unlisted firms

Jan Bartholdy and Cesário Mateus

F-2006-01: The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application

Espen P. Høg and Per H. Frederiksen

F-2005-05: Realized Bond-Stock Correlation: Macroeconomic Announcement Effects

Charlotte Christiansen and Angelo Ranaldo

F-2005-04: GSE Funding Advantages and Mortgagor Benefits: Answers from Asset Pricing

Søren Willemann

F-2005-03: Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates

Charlotte Christiansen

F-2005-02: Do More Economists Hold Stocks?

Charlotte Christiansen, Juanna Schröter Joensen and Jesper Rangvid

F-2005-01: Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence

Michael Christensen

F-2004-01: Decomposing European bond and equity volatility

Charlotte Christiansen